Found an answer in the Announcement post when Markdown was introduced to Qoto:
Keep in mind that while many other fediverse serves will view the rich text not all servers can or will and the formatting will be converted into html in a best-effort to remain compatible. For examples vanilla Mastodon instances reject all special formatting, but links from markdown should still be correctly rendered, but bold and other formatting will be filtered out on Mastodon. Pleorma and other software which allows rich-text should properly render the markdown.
So basically, it seems like links should likely work everywhere without a problem, it’s just fancy text rendering that’s likely to get stripped out elsewhere.